CC Athena OS : Investment Program (Institutional EURO class)

archived programs
Year-to-Date
N / A
Feb Performance
0.88%
Min Investment
€ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.21%
Sharpe (RFR=1%)
0.97
CAROR
7.05%
Assets
€ 119.1M
Worst DD
-11.47
S&P Correlation
-0.07

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2005
Investment Program (Institutional EURO class) 0.88 - - - - - - 23.38
S&P 500 -3.48 - - - - - - 187.81
+/- S&P 500 4.36 - - - - - - -164.44

Strategy Description

Summary

-The strategy is an options trading system that trades currently complex option strategies on S&P500 Futures Options (SPX options will be traded to complete and supplement the futures options) with the goal to generate a positive absolute return in any given market environment. &The... Read More

Account & Fees

Type Managed Account
Minimum Investment € 5,000k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The strategy is an options trading system that trades currently complex option strategies on S&P500 Futures Options (SPX options will be traded to complete and supplement the futures options) with the goal to generate a positive absolute return in any given market environment. &The strategy was developed out of a proprietary trading program of CCPM that was first implemented in 1995. Ever since then, the strategy was subject to a constant process of research and development, which led from a classical options writing strategy (Short Selling from June 1998 to July 2002) to a complex options strategy (since August 2002) that is based on a fixed set of possible strategies and follows a systematic trading approach. &CCPM trades the strategy with the final set of rules that it involves today since August 2002. It utilises a combination of bought and sold options in the front month of the S&P 500 index. If the front month has only a maturity of 2-3 weeks to expiration of the front month, the program trades the next option month. Under regular trading conditions, these strategies will be held close to the expiry of the options contracts. Changes to the positions will only be made if either the risk management model or the position management rules would require such a change.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Risk
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Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-11.47 3 9 1/1/2007 4/1/2007
-1.30 1 2 3/1/2005 4/1/2005
-0.28 1 1 6/1/2006 7/1/2006
-0.27 1 1 9/1/2005 10/1/2005
-0.14 1 1 10/1/2006 11/1/2006
-0.09 1 1 12/1/2005 1/1/2006
-0.06 1 1 6/1/2005 7/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
11.79 7 8/1/2007 2/1/2008
6.34 5 2/1/2006 6/1/2006
4.24 2 5/1/2007 6/1/2007
3.91 2 8/1/2005 9/1/2005
2.79 2 11/1/2005 12/1/2005
2.45 2 12/1/2006 1/1/2007
2.42 2 2/1/2005 3/1/2005
1.50 3 8/1/2006 10/1/2006
1.44 2 5/1/2005 6/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.47 3 2/1/2007 4/1/2007
-1.30 1 4/1/2005 4/1/2005
-0.42 1 7/1/2007 7/1/2007
-0.28 1 7/1/2006 7/1/2006
-0.27 1 10/1/2005 10/1/2005
-0.14 1 11/1/2006 11/1/2006
-0.09 1 1/1/2006 1/1/2006
-0.06 1 7/1/2005 7/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable72.9788.5778.1365.38100.00100.00
Average Period Return0.591.703.144.647.259.32
Average Gain1.342.835.728.997.259.32
Average Loss-1.44-7.12-6.10-3.58
Best Period2.436.6310.8113.1017.1920.09
Worst Period-5.84-11.47-9.43-5.770.124.40
Standard Deviation1.793.695.516.856.633.93
Gain Standard Deviation0.741.502.173.726.633.93
Loss Standard Deviation2.253.913.271.73
Sharpe Ratio (1%)0.280.390.480.530.871.86
Average Gain / Average Loss0.930.400.942.51
Profit / Loss Ratio2.503.093.354.74
Downside Deviation (10%)1.473.054.265.264.342.74
Downside Deviation (5%)1.362.743.402.860.40
Downside Deviation (0%)1.342.663.192.32
Sortino Ratio (10%)0.120.150.16-0.07-0.08-0.34
Sortino Ratio (5%)0.370.530.781.2714.29
Sortino Ratio (0%)0.440.640.982.00

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.